Multifractality in the Philippine Foreign Exchange Market

Harvey M. Niere


This paper investigates the multifractality of the daily exchange rate between the Philippine Peso and the US Dollar from January 2, 1998 to July 31, 2013 using the multifractal detrended fluctuation analysis. The behavior of the generalized Hurst exponent detects the presence of multifractality in the peso-dollar exchange rate. Moreover, the small fluctuations in the exchange rate show persistence. By quantifying the contribution of long-range correlations and broad fat-tail distributions to multifractility, the paper shows that the multifractility of daily peso-dollar exchange rate is mainly due to the broad fat-tail distributions.


Multifractality; Hurst exponents; Financial markets; Efficiency

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